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12-097/III - Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model

  • Authors
    H. Peter Boswijk, University of Amsterdam; Michael Jansson, UC Berkeley; Morten Ø. Nielsen, Queen's University
  • Publication date
    September 21, 2012
  • Keywords
    Cointegration rank, efficiency, likelihood ratio test, vector autoregression
  • JEL
    C12, C32
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